How have I not waded into this thread and commented before?
I have to admit, I have always had a fondness for the Forgotten Realms setting. It's pretty damn generic, but it's got a few little twists and tweaks that make parts of it interesting, some of the authors have created some cool locations and settings for it, and if you can get away from the Sword Coast and Icewind Dale your chances of running into Drizzt are significantly lowered. It's rather like a fast food chain. It all vaguely tastes the same, and it doesn't taste especially amazing unless you're drunk, and you know it's not good for you, but it's satisfying in the way you want it to be and you can add literally any condiment to it to make it better and your own.
WFRP (which I insist on pronouncing WhFurp) as others have mentioned is fantastic. Just a perfect mix of near-historical, late medieval history mixed with classic fantasy ranging from King arthur mythology to Brothers Grimm, and then a pile of angst and grim darkness and contempt for everyone in the world because it's a horrible place to be. I also very much like the 2nd edition rules which are simple, effective, and brutally reinforce the idea that the game just doesn't like you. And yet, despite all of this, we still love playing it.
I've played in a few other established worlds. Gamma World (6th ed, because I didn't know about it until then) was random and hilarious but I think most of the appeal was in the novelty of the hilarity and randomness. Maybe I'd try running a campaign in it but I'd have to look for previous editions because to hell with 4th ed DnD. I was in a Deadlands game, which I think was supposed to have a similar tone, but we broke it. Repeatedly. Eberron still hosts the campaign I dream of finishing one day and there are things I like about the setting a lot, but I don't have an emotional attachment to it. I think I'm playing a game on Golarion? That's the pathfinder world, right? We're using a map of Tien for the campaign and I haven't been told the rest of the world doesn't also exist but I have zero idea of how closely the DM is following the established lore. All I know is that game is awesome because we're playing it "anime style" with over the top combat actions and ridiculous dialogue and/or constant screaming. And I;m a monkey demon.
I'm trying to think of any other established worlds I've played in and am coming up short. Most often my friends and I homebrew stuff. I hope in the near future to play in a WoD Werewolf game,but once again the setting is being completely crafted by the GM and I know he's taking liberties with some things, I like the concept of WoD but my experience in it is limited so we'll see how that goes.